Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 8 | 7 | 8 |
| Score | 4.43 | 3.12 | 4.1 |
| Market Cap (Millions USD) | 20824.33 | 20365.4 | 20537.08 |
| Predicted Beta | 1.86 | 1.84 | 1.79 |
| Idiosyncratic Volatility | 0.96 | 1.1 | 1.07 |
Annualized return and volatility
| IWB | |
|---|---|
| Annualized Return | 0.0636 |
| Annualized Std Dev | 0.1835 |
| Annualized Sharpe (Rf=0%) | 0.3466 |
Row
Daily Return Statistics
| IWB | |
|---|---|
| Observations | 5015.0000 |
| NAs | 99.0000 |
| Minimum | -0.0938 |
| Quartile 1 | -0.0043 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0055 |
| Maximum | 0.1137 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0116 |
| Skewness | -0.0350 |
| Kurtosis | 8.4407 |
Downside Risk
| IWB | |
|---|---|
| Semi Deviation | 0.0083 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0091 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0082 |
| Downside Deviation (0%) | 0.0082 |
| Maximum Drawdown | 0.5538 |
| Historical VaR (95%) | -0.0181 |
| Historical ES (95%) | -0.0278 |
| Modified VaR (95%) | -0.0168 |
| Modified ES (95%) | -0.0250 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2012-03-19 | -0.5538 | 1137 | 364 | 773 |
| 2000-09-05 | 2002-10-09 | 2006-10-12 | -0.4825 | 1562 | 534 | 1028 |
| 2018-09-21 | 2018-12-24 | 2019-04-12 | -0.1973 | 142 | 66 | 76 |
| 2015-05-22 | 2016-02-11 | 2016-06-02 | -0.1425 | 264 | 186 | 78 |
| 2018-01-29 | 2018-02-08 | 2018-07-25 | -0.0997 | 126 | 9 | 117 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IWB | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 3.1 | 0.0 | 0.6 | 0.1 | 0.0 | -0.7 | -0.4 | 0 | 2.7 |
| 2001 | 0.2 | -0.1 | 0.0 | 1.2 | 0.6 | 0.0 | 0.4 | 0.0 | -0.1 | 2.0 | 0.0 | 0 | 4.3 |
| 2002 | -0.4 | 1.9 | 0.2 | 0.7 | 0.0 | -1.7 | -3.0 | 0.0 | 3.1 | 2.0 | 0.0 | 0 | 2.7 |
| 2003 | 0.0 | 0.0 | 1.5 | 0.1 | 0.0 | 1.0 | -1.0 | 0.0 | 1.9 | 0.0 | 0.9 | 0 | 4.4 |
| 2004 | 0.0 | 0.9 | 0.7 | 0.0 | 0.0 | -1.1 | 0.0 | 0.1 | 1.6 | 0.0 | 1.4 | 0 | 3.7 |
| 2005 | 0.6 | 0.7 | -0.5 | 0.0 | 0.9 | 0.6 | -0.1 | 0.0 | 0.0 | 0.0 | 1.2 | 0 | 3.5 |
| 2006 | 0.6 | 0.7 | 0.0 | -0.4 | 1.3 | 0.0 | -0.4 | 0.5 | 0.0 | -0.7 | -0.2 | 0 | 1.4 |
| 2007 | 0.7 | -0.2 | 0.0 | 0.2 | 0.4 | 0.0 | 0.7 | 0.0 | 1.3 | -2.4 | 0.0 | 0 | 0.6 |
| 2008 | 1.4 | 0.0 | 3.4 | 1.8 | 0.0 | 0.6 | -0.5 | 0.0 | -0.7 | 0.0 | -8.6 | 0 | -3.0 |
| 2009 | 0.0 | 0.0 | 2.2 | 0.6 | 2.6 | 0.5 | 0.0 | -2.2 | -2.5 | 0.0 | 1.2 | 0 | 2.2 |
| 2010 | 1.5 | 1.1 | 0.6 | 0.0 | -1.8 | -0.2 | 0.0 | 2.9 | 0.4 | 0.1 | 2.2 | 0 | 7.0 |
| 2011 | 1.6 | -1.6 | 0.4 | 0.0 | -2.2 | 1.5 | -0.5 | -1.1 | 0.0 | -2.7 | -0.1 | 0 | -4.6 |
| 2012 | 1.0 | 0.7 | 0.0 | 0.7 | -2.5 | 0.0 | -0.2 | 0.0 | 0.2 | 1.3 | 0.0 | 0 | 1.1 |
| 2013 | 0.9 | 0.4 | -0.4 | -0.9 | 0.0 | 0.3 | 1.3 | 0.0 | 0.9 | 0.3 | 0.0 | 0 | 2.9 |
| 2014 | 0.0 | 0.0 | 0.7 | 0.1 | 0.0 | 0.7 | -0.3 | 0.0 | -1.3 | 0.0 | -0.8 | 0 | -0.8 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.0 | 0.2 | 0.7 | 0.0 | -3.0 | 0.2 | 0.0 | 0.9 | 0 | -0.5 |
| 2016 | 0.0 | 2.4 | 0.6 | 0.0 | 0.3 | 0.2 | -0.1 | 0.1 | 0.0 | -0.7 | -0.4 | 0 | 2.3 |
| 2017 | 0.0 | 1.4 | 0.0 | 0.2 | 0.8 | 0.0 | 0.2 | 0.2 | 0.0 | 0.1 | -0.1 | 0 | 2.9 |
| 2018 | 0.0 | -1.3 | 0.0 | 0.2 | 1.0 | 0.0 | -0.1 | 0.0 | 0.3 | 1.1 | 0.0 | 0 | 1.2 |
| 2019 | 0.2 | 0.7 | 1.2 | -0.7 | 0.0 | 0.9 | -0.9 | 0.0 | -1.2 | 1.0 | 0.0 | 0 | 1.0 |
Row
Rolling Performance Chart
Snail Trail Chart
